Semiparametric estimation of McKean–Vlasov SDEs

In this paper we study the problem of semiparametric estimation for a class of McKean-Vlasov stochastic differential equations. Our aim is to estimate the drift coefficient of a MV-SDE based on observations of the corresponding particle system. We propose a semiparametric estimation procedure and derive the rates of convergence for the resulting estimator. We further prove that the obtained rates are essentially optimal in the minimax sense.